Centro de Documentación de Fundación MAPFRE - Asset liability management of longevity and interest rate risks : using survival-mortality bonds

MAP20230012642

Asset liability management of longevity and interest rate risks : using survival-mortality bonds / Tzuling Lin, Cary Chi-Liang Tsai, Hung-Wen Cheng

Sumario: In this article, we propose to attach a mortality index to a conventional bond, called a survivalmortality (SM) bond. Its cash flow pattern is like a conventional bond but it can be separated into a survival (S) part and a mortality (M) part; the cash flow pattern in the former is like an annuity or a longevity bond and that in the latter is like a mortalitycatastrophe bond. We further propose to split it into S, M, and SM zero-coupon STRIPS (Separate Trading Registered Interest and Principal Securities). We apply these S, M, and SM issues to hedging longevity risk and interest rate risk of 1-year and multiple-year annuity exposures for the asset liability management of an annuity provider by adopting mortality, interest, mortalityinterest duration, and convexity matching strategies. We can infer that mortality-linked bonds play an essential role in asset liability management; the proposed survivalmortality bonds will be a feasible way to develop an efficient market for longevity risk

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 06/03/2023 Tomo 27 Número 1 - 2023 , p. 74-95

1. Cálculo actuarial . 2. Mortalidad . 3. Envejecimiento . 4. Análisis de riesgos . 5. Renta vitalicia . 6. Responsabilidad . I. Tsai, Cary Chi-Liang . II. Cheng, Hung-Wen .